Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0252
Annualized Std Dev 0.1983
Annualized Sharpe (Rf=0%) -0.1271

Row

Daily Return Statistics

Close
Observations 4126.0000
NAs 1.0000
Minimum -0.1616
Quartile 1 -0.0046
Median 0.0005
Arithmetic Mean 0.0000
Geometric Mean -0.0001
Quartile 3 0.0051
Maximum 0.1738
SE Mean 0.0002
LCL Mean (0.95) -0.0004
UCL Mean (0.95) 0.0004
Variance 0.0002
Stdev 0.0125
Skewness -0.5270
Kurtosis 29.5896

Downside Risk

Close
Semi Deviation 0.0093
Gain Deviation 0.0092
Loss Deviation 0.0110
Downside Deviation (MAR=210%) 0.0139
Downside Deviation (Rf=0%) 0.0093
Downside Deviation (0%) 0.0093
Maximum Drawdown 0.6171
Historical VaR (95%) -0.0166
Historical ES (95%) -0.0308
Modified VaR (95%) -0.0149
Modified ES (95%) -0.0149
From Trough To Depth Length To Trough Recovery
2005-03-02 2009-03-09 NA -0.6171 4042 1012 NA
2005-02-14 2005-02-22 2005-02-25 -0.0169 9 6 3
2004-11-19 2004-12-06 2004-12-13 -0.0124 16 11 5
2004-12-15 2004-12-16 2004-12-22 -0.0089 6 2 4
2004-12-30 2005-01-03 2005-01-11 -0.0089 9 3 6

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2004 NA NA NA NA NA NA NA NA NA -0.3 0.1 0.1 -0.1
2005 0.6 0.6 -0.3 0.8 0.2 0 0 -0.1 1.5 -0.6 -1.2 1.9 3.4
2006 -0.4 0.6 1.1 0.5 1.4 -0.6 0.1 0.4 -0.3 0.3 0.7 0.6 4.5
2007 -0.3 -0.5 0.1 0.2 0.4 0.4 -1.1 0.8 0.6 -2.4 0.6 0.6 -0.7
2008 1.5 -1.4 2 0.7 0.2 -0.3 -0.5 -1 2.6 1.4 -5.4 0.5 0.2
2009 -0.3 -3.1 2.1 0.1 1.9 1.4 0.5 -4.9 -0.9 -2.9 0.7 0.2 -5.3
2010 1.2 -0.1 1.1 -1 -2.9 -1.1 1.1 2.3 -0.6 0 1.3 0.4 1.7
2011 1.5 -0.2 0.6 0.5 -0.6 0.8 0.2 -0.9 -1.8 -1.9 0.2 0.4 -1.4
2012 0.3 0.9 1 0.3 -1.5 1.4 0.5 0.2 1.5 0.3 -1.3 0.9 4.6
2013 -0.5 0.6 -0.2 -0.5 -1.3 1 0.6 -0.2 1.5 0.1 0.1 0 1.1
2014 -0.6 -0.2 0.6 -0.1 0.3 -0.5 -1.5 0.1 0.1 0.8 -0.5 -2.3 -3.9
2015 -1 -1.1 -1.1 0.7 0.7 0.5 0.6 -1 0.6 -1.1 0.8 0.7 -0.9
2016 0.7 1.8 1.6 -1.5 0.4 0.5 -0.3 0.2 0.7 -1 -1.6 0.2 1.5
2017 0.7 0.3 -0.7 -0.8 0.5 0.1 1.4 0.4 0.7 0.1 -0.1 0.8 3.4
2018 0.4 -0.7 1.4 0.6 0.4 0.7 -0.5 0.2 1.4 2.3 0.4 2.3 9.2
2019 -0.9 -0.2 0.2 -0.3 -1.4 0.5 -0.6 0.1 -0.1 0.6 -0.6 -0.4 -3
2020 -0.6 -4.8 -1.9 -1.9 0.6 0.8 0.4 0.5 0.8 -1 1.1 0.9 -5
2021 1.7 1.8 0.4 NA NA NA NA NA NA NA NA NA 3.9

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart